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EUR/GBP and GBP/USD 2002-2008: intermarket correlations
Written by Forex Automaton   
Tuesday, 07 October 2008 10:59

Euro/Pound Sterling and Pound Sterling/US Dollar form another pair with the negative correlation feature at the positive time lag. Unlike many other forex pairs, this is not an extention of the zero-time lag correlation (negative and well localized in this case) but an isolated feature of the correlation function at larger time lags.

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EUR/GBP and GBP/JPY 2002-2008: intermarket correlations
Written by Forex Automaton   
Monday, 06 October 2008 11:34

Not surprisingly, Euro/Pound Sterling and Pound Sterling/Japanese Yen are negatively correlated. The zero-time lag peak appears well localized in the hour scale analyzis, however there are marginally significant wave-like features away from zero, of the kind seen in a number of other cases.

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EUR/GBP and EUR/USD 2002-2008: intermarket correlations
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Written by Forex Automaton   
Tuesday, 30 September 2008 13:15

Euro/Pound Sterling and Euro/US Dollar form a positively correlated pair. The central correlaiton peak is narrow enough not to have visible tails when analyzed on the hour time scale. Hints of a negative correlation are seen at positive time lags, similar to the correlation of EUR/GBP with EUR/JPY and CHF/JPY.

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EUR/GBP and EUR/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Monday, 29 September 2008 09:34

The intermarket correlation between Euro/Pound Sterling and Euro/Japanese Yen, analyzed on an hour time scale, shows a correlation peak narrow enough to be localized inside the zero-hour time-lag bin. Longer range picture may be more complex with hints of a correlation going negative as the time lag extends into the neighborhood of 20 hours.

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EUR/GBP and EUR/CHF 2002-2008: negative correlation underscores importance of interest rates
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Written by Forex Automaton   
Wednesday, 24 September 2008 10:49

The cross-rates Euro/Pound Sterling and Euro/Swiss Franc form a remarkable combination of world's two historically least volatile floating exchange rates. They are weakly negatively correlated, despite the fact that both are EUR-based exchange rates. When looked at on an hour time scale, the correlation appears to be localized at the zero time-lag and thus presents no interest from the short-range forecasting point of view.

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EUR/GBP and EUR/AUD 2002-2008: intermarket correlations
Written by Forex Automaton   
Tuesday, 23 September 2008 13:37

The intermarket correlation between Euro/Pound Sterling and Euro/Australian Dollar, when looked at on an hour time scale, presents a simple one peak structure on top of noise whose magnitude is estimated here by Monte Carlo simulations on the basis of historical volatilities of the time series under study. Such simple one-peak structures centered at the zero time-lag do not offer forecasting potential.

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EUR/GBP and CHF/JPY 2002-2008: intermarket correlations
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Written by Forex Automaton   
Monday, 22 September 2008 12:23

The Euro/Pound Sterling and Swiss Franc/Japanese Yen are weakly positively correlated exchange rates. The signal bins we see are disjoint and do not seem to form a reliable pattern of the kind seen in other intermarket studies where the pattern is an extension of the zero-lag correlation peak. The pattern we may be looking at is of a wave-like variety and, as is usually the case, it is not well pronounced in the data -- one can rather speak of a hint of a pattern.

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EUR/GBP and AUD/USD 2002-2008: "trivial" intermarket correlations
Written by Forex Automaton   
Wednesday, 17 September 2008 12:59

Euro/Pound Sterling and Australian Dollar/US Dollar are weakly positively correlated but the correlation, as seen on average for the 6 year period of hour-by-hour data, is too tight to offer forecasting potential on this time scale. Such simple one-peak structures centered at the zero time-lag are called "trivial" in this series of analysis notes.

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EUR/GBP and AUD/JPY 2002-2008: another minimally correlated combination
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Written by Forex Automaton   
Tuesday, 16 September 2008 13:53

Euro/Pound Sterling and Australian Dollar/Japansese Yen form an interesting combination where delayed correlation amplitude (representing AUD/JPY lagging behind GBP/EUR) happens to be as strong as the "instantaneous" correlation. The weak "instanteneous" correlation rivals AUD/USD and EUR/CHF previously identified as the least correlated forex pair. The statistical lagging of a stronger interest rate differential exchange rate such as AUD/JPY behing GBP/EUR is unusual. Good to know.

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USD/CAD and USD/JPY 2002-2008: "trivial" intermarket correlations
Written by Forex Automaton   
Monday, 15 September 2008 13:13

US Dollar/Canadian Dollar and US Dollar/Japanese Yen are a weakly positively correlated pair of exchange rates. With the one hour time-scale analysis approach there is no evidence for predictive correlations in the time period under study.

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GBP/USD and USD/JPY 2002-2008: hints of predictive correlations
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Written by Forex Automaton   
Wednesday, 10 September 2008 14:00

The case of Pound Sterling/US Dollar and US Dollar/ Japanese Yen shows hints of predictability in the latter rate on the basis of the former on average for the period. This may indicate that stronger signals might exist at particular time intervals or on shorter time scales, but get watered down in the time average. A candidate for a deeper study.

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